摘要
从有限记忆的角度分析了不完全理性交易行为对金融资产短期价格的影响并建立了相应的数学模型.通过对模型仿真结果的比较分析得出金融市场上即便信息是对称的,但若存在较大比例的不完全理性交易者,那么金融资产的短期价格变化过程与交易者完全理性情形下的短期价格行为有显著的差异;存在有限记忆交易行为情形下的金融资产的短期价格波动较大.此外,由于存在"有限套利",因不完全理性交易行为引致的短期价格偏差可能得不到迅速纠正.
In the paper, we set up a model to analyze how an incomplete rational trading behavior significantly affects the short changes of financial asset price from the traders' limited memory view point. The comparative analysis of the simulated results indicates that even if the information in financial market is symmetric, the financial asset short_term price behavior is significantly different when a greater proportion of imcomplete rational traders exists in the market. The financial asset short_term price is more fluctuation when the limited memory is more serious. Furthermore, because of the limited arbitrage, the short_term price deviation owing to imcomplete rational trading may not be corrected rapidly.
出处
《系统工程学报》
CSCD
2004年第4期408-412,共5页
Journal of Systems Engineering
基金
教育部优秀青年教师资助计划项目(教人司[2003]355号).
关键词
有限记忆
理性预期
短期价格
贝叶斯学习
有限套利
limited memory
rational expectation
short_term price
Bayesian learning
limited arbitrage
